European Duration Survey, 6 May 2010

European Duration Survey, 6 May 2010

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• Both multi-currency and single-currency investors increased their longs signficantly vs. benchmark, particularly international Euro area and US investors.

• Euro area domestic investors reduced their shorts by 0.05 years vs. benchmark. They still hold short duration exposure at -0.10 years vs. benchmark.

• Multicurrency investors in the Euro area turned long for the first time since Feb10; they are now at +0.07 years vs. benchmark.

• Multicurrency investors in US Treasuries increased their duration exposure by 0.08 years and are now broadly neutral vs. benchmark. US domestic investors however reduced longs slightly and are now neutral- to marginally short.

• Multi-currency investors’ duration exposure to JGBs also increased by 0.05 years; investors are now roughly neutral.

• Domestic UK investors’ exposure is unchanged since our last update, at -0.17 years vs. benchmark. This is in line with the 6M average.

ENDS.

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